One key aspect for the performance of multi-dimensional finite difference methods based on operator splitting is the performance of the underlying tridiagonal system solver [1]. The authors in [2] have analysed different solver strategies and they have reported a speed-up factor of around 15 between GPU and CPU for the best solver strategy (cyclic reduction) on very large systems. CUDA’s sparse matrix library cuSPARSE contains a routine to solve tridiagonal systems based on cyclic reduction. nVIDIA claims a speed-up factor of around ten compared against Intel’s MKL library [3].

These factors are smaller than the speed-up factors reported for pure Monte-Carlo pricing algorithms. Main reason is that a tridiagonal system solver can not be parallelised by a simple divide and conquer approach like many Monte-Carlo pricing algorithms.

Main classes of the GPU implementation of the Hundsdorfer-Verwer operator splitting scheme are:

**GPUFdmLinearOp**: implements the FdmLinearOp interface and can be initialized from any instance of FdmLinearOp/FdmLinearOpComposite via the *toMatrix()/toMatrixDecomp()* methods.
**GPUTripleBandLinearOp**: GPU based implementation of TripleBandLinearOp. This linear operator can be initialized from any instance of the classes FdmLinearOp/FdmLinearOpComposite via the toMatrix/toMatrixDecomp() methods. The solver for the tridiagonal system is based on cuSPARSE.
**GPUHundsdorferScheme**: GPU based implementation of the Hundsdorfer-Verwer operator splitting scheme.

The code is available here and it is based on the latest QuantLib version from the trunk, CUDA 4.1 or higher and Cusp 0.3 or higher. As can be seen from the diagrams above the speed-up factor depends on the problem size. Speed-up factors above ten can only be achieved for very large two-dimensional or for medium-sized three-dimensional problems. The GPU precision is defined in cudatypes.hpp by the typedef for the type “real”.

[1] Karel in ’t Hout, ADI finite difference schemes for the Heston model with correlation.

[2] Pablo Quesada-Barriuso, Julián Lamas-Rodríguez, Dora B. Heras, Montserrat Bóo, Francisco Argüello, Selecting the Best Tridiagonal System Solver Projected on Multi-Core CPU and GPU Platforms.

[3] nVIDIA, cuSPARSE

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Great stuff – trying to build it and I am getting a compile error with nvcc and boost

Just in case you have seen this already

C:\DEV\DEV\boost\boost_1_51\boost/typeof/msvc/typeof_impl.hpp(125): error : nontype “boost::type_of::msvc_extract_type::id2type_impl [with ID=ID, T=boost::type_of::msvc_extract_type_default_param]” is not a template

Which environment are you using? I’m using boost 1.51, g++-4.6.3 and nvcc-4.2. Do you get a more verbose error message?